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XTTVPIVMG: Stata module to perform time-varying parameter IV mean-group estimation of heterogeneous panels

Author

Listed:
  • Merwan Roudane

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Abstract

xttvpivmg implements the kernel-based time-varying parameter instrumental variable mean-group (TVP-IV-MG) estimator of Bai, Marcellino and Kapetanios (2026, Econometrics and Statistics 37, 26-41), for large heterogeneous panels in which the slope coefficients (a) differ across units, (b) evolve smoothly over time, and (c) are attached to endogenous regressors. The estimand is a path rather than a scalar: the whole trajectory of the cross-sectional mean coefficient vector, estimated non-parametrically with no state-space model, no assumed break dates and no functional form for the time variation beyond smoothness. Mechanically the command runs the time-varying IV estimator of Giraitis, Kapetanios and Marcellino (2021, Journal of Econometrics 224, 394-415) separately on each panel unit and averages across units in the manner of Pesaran and Smith (1995, Journal of Econometrics 68, 79-113). Inference follows the paper's Theorem 1(ii): the kernel-IV sampling error is dominated by the coefficient heterogeneity, so the standard errors are the cross-sectional dispersion of the unit-level paths, with no HAC correction and no bootstrap required.

Suggested Citation

  • Merwan Roudane, 2026. "XTTVPIVMG: Stata module to perform time-varying parameter IV mean-group estimation of heterogeneous panels," Statistical Software Components S459868, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459868
    Note: This module should be installed from within Stata by typing "ssc install xttvpivmg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttvpivmg.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttvpivmg.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttvpivmg_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttvpivmg_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttvpivmg_example.do
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